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| The Distribution and Dynamics of Investors′ Wealth on an Artificial Financial Market |
| GAO Yan1, LI Zhaohui2
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1. Department of Financial Engineering, School of Finance, Central University of Finance and Economics, Beijing 100081, China;
2. Business School, Imperial College London, London SW11 2DL,U K |
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Abstract This paper constructs an artificial stock market which could exhibit the key statistical properties of the real market by agent-based modeling. By describing three types of investors (institutional investor, trend investor and noise investor) which are different from their information endowments and trade behaviors, the model exhibits the power-law distribution of investors′ wealth (in the high-wealth range), and we find that the Gini coefficient of the wealth distribution decreases as the initial share of institutional investors increases. This result implies that the institutional investors who are dominant in information gather market wealth, but this effect is reduced as more investors join their group. From the view of improving equality in resource allocation, we also give some targeting suggestions to the Chinese stock markets.
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Received: 14 October 2013
Published: 22 June 2026
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